Is there a way to group animations into one action?
There was (Blender 2.49) the option to trigger animations of all child objects via [child] flag at the action actuator. But there is really limited use on that.

No there is no way to have several actions of several different objects as one. The armature does that partly (animating different objects) but i guess this is not what you mean.

The way to go is to ensure all objects play there respective animation at the same time. 

You can do that by sending a message e.g. "play cut scene A sequence 1". Each object involved starts playing on receipt of that message.

As all objects receive the message at the same frame the actions will play synchronously. Be aware there is no feedback (e.g. if one object is not playing the other objects do not know about it).